نتایج جستجو برای: hedge

تعداد نتایج: 3039  

2011
PAUL A. TAYLOR

Motivated by the debate about the economic consequences of mandatory adoption of International Financial Reporting Standards (IFRS), this study investigates the effect of hedge accounting under IFRS on corporate risk management. Using a sample of large UK non-financial firms from 2003 to 2008, we show that the implementation of the new standards reduces the level of asymmetric information faced...

2016
Olga Kolokolova

The paper investigates the strategic behavior of hedge fund families. It focuses on decisions to start and liquidate family-member funds. Hedge fund families tend to liquidate funds that underperform compared to other member funds, and to replace them by new ones. By choosing a launch time after a short period of superior performance by their member funds, families extend the spillover to new f...

2003
James A. Primbs Yuji Yamada

This paper analyzes the performance of two hedging strategies on three different options when trading is limited to take place at discrete times. Specifically, we compare the mean, standard deviation, skewness, and kurtosis of the hedging error resulting from applying a delta hedge and mean square optimal hedge to a European call option, a digital call option, and a down-and-out barrier call op...

2002
Harry M. Kat Albert W. Jones

This discussion paper is a preliminary version designed to generate ideas and constructive comment. The contents of the paper are presented to the reader in good faith, and neither the author, the ISMA Centre, nor the University, will be held responsible for any losses, financial or otherwise, resulting from actions taken on the basis of its content. Any persons reading the paper are deemed to ...

2010
Erik Velldal

This paper presents a novel approach to the problem of hedge detection, which involves the identification of so-called hedge cues for labeling sentences as certain or uncertain. This is the classification problem for Task 1 of the CoNLL-2010 Shared Task, which focuses on hedging in biomedical literature. We here propose to view hedge detection as a simple disambiguation problem, restricted to w...

2000
Anurag Gupta Bing Liang Ajai Singh

In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (based on Extreme Value Theory) as the criterion for measuring risk and estimating capital requirements. Using extensive data on nearly thirteen hundred live and dead hedge funds, we find that the vast majority of funds are adequately capitalized. In addition, a large fraction of hedge fun...

2010
Shaodian Zhang Hai Zhao Guodong Zhou Bao-Liang Lu

This paper presents a system which adopts a standard sequence labeling technique for hedge detection and scope finding. For the first task, hedge detection, we formulate it as a hedge labeling problem, while for the second task, we use a two-step labeling strategy, one for hedge cue labeling and the other for scope finding. In particular, various kinds of syntactic features are systemically exp...

2010

This paper examines how hedge funds manage their market risk according to changes in aggregate liquidity conditions. Using a large sample of equity-oriented hedge funds during the period of 1994–2008, we find strong evidence that hedge-fund managers possess the ability to time market liquidity at both the style category level and the individual fund level. They increase (decrease) their portfol...

2017
Robert J. Bianchi Michael E. Drew

This study examines the effects of systemic risk on global hedge fund returns. We consider systemic risk as a conditional information variable to predict the underlying exposures to various asset market returns and risk factors. This study examines a proxy for global systemic risk employed by investment professionals known as the Treasury/Eurodollar (TED) spread. The findings reveal that increa...

Journal: :AMIA ... Annual Symposium proceedings. AMIA Symposium 2012
David A. Hanauer Yang Liu Qiaozhu Mei Frank J. Manion Ulysses J. Balis Kai Zheng

In this study, we quantified the use of uncertainty expressions, referred to as 'hedge' phrases, among a corpus of 100,000 clinical documents retrieved from our institution's electronic health record system. The frequency of each hedge phrase appearing in the corpus was characterized across document types and clinical departments. We also used a natural language processing tool to identify clin...

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